Exponential Timestepping with Boundary Test for Stochastic Differential Equations

DOI10.1137/S1064827501399535zbMath1045.65006WikidataQ56838970 ScholiaQ56838970MaRDI QIDQ4442137

Kalvis M. Jansons, G. D. Lythe

Publication date: 20 January 2004

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationcomparison of methodsnumerical methodsnumerical experimentsstochastic calculusEuler methoda posteriori error estimatesdiffusion with boundaries

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Parallel stochastic methods for PDE based grid generation ⋮ Quiet direct simulation Monte-Carlo with random timesteps ⋮ Efficient parallel solution of nonlinear parabolic partial differential equations by a probabilistic domain decomposition ⋮ Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance ⋮ Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ Fast simulations of stochastic dynamical systems ⋮ Simulation of stopped diffusions ⋮ Simulation of diffusions by means of importance sampling paradigm ⋮ A Stochastic Domain Decomposition Method for Time Dependent Mesh Generation ⋮ Probabilistically induced domain decomposition methods for elliptic boundary-value problems ⋮ Improved Simulation Techniques for First Exit Time of Neural Diffusion Models ⋮ An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems

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